Mutual information inspired feature selection using kernel canonical correlation analysis

This paper proposes a filter-based feature selection method by combining the measurement of kernel canonical correlation analysis (KCCA) with the mutual information (MI)-based feature selection method, named mRMJR-KCCA. The mRMJR-KCCA maximizes the relevance between the feature candidate and the target class labels and simultaneously minimizes the joint redundancy between the feature candidate and the already selected features in the view of KCCA. To improve the computation efficiency, we adopt the Incomplete Cholesky Decomposition to approximate the kernel matrix in implementing the KCCA in mRMJR-KCCA for larger-size datasets. The proposed method is experimentally evaluated on 13 classification-associated datasets. Compared with certain popular feature selection methods, the experimental results demonstrate the better performance of the proposed mRMJR-KCCA.